Essays about: "Conditional Asset Pricing"

Showing result 1 - 5 of 17 essays containing the words Conditional Asset Pricing.

  1. 1. Stock Market Volatility in the Context of Covid-19

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Liu Kunyu; [2022]
    Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

    Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE

  3. 2. Investment Decision for a Risk-Averse Investor : A Study of the Nordic Markets

    University essay from Umeå universitet/Nationalekonomi

    Author : Marcus Molitor; [2022]
    Keywords : ;

    Abstract : This paper investigates the investment decisions for a risk-averse investor. Today’s market offers a variety of different investment options, and it might be hard to filter out the good investments from the bad. This study aims to find the most attractive investments with regards to low volatility. READ MORE

  4. 3. The Momentum Premium: An Intermediary Asset Pricing Perspective

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Simon Eliasson; David Öhlund; [2021]
    Keywords : Momentum; Intermediary Asset Pricing; Time-Varying Risk;

    Abstract : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. READ MORE

  5. 4. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Benjamin von Essen; Haohang Wu; [2021]
    Keywords : Empirical asset pricing; Conditional asset pricing model; Machine learning; Arbitrage; Multi-factor model;

    Abstract : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. READ MORE

  6. 5. Financial integration and international asset pricing of Chinese stock markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ho Wai NG; Weiwei Zhu; [2018]
    Keywords : Financial integration; International asset pricing; Emerging Market Finance;

    Abstract : Our analysis draws several meaningful findings. First, we find that there is predictability of Chinese stock market return on latent variables which include common and local specific information. We also find that the conditional volatility and local price of risk are time varying for China. READ MORE